Cross Currency Swap Trading & Pricing Formulae - A PowerPoint Overview with Excel Pricing Examples

30 Pages Posted: 6 May 2019

See all articles by Nicholas Burgess

Nicholas Burgess

University of Oxford, Said Business School

Date Written: March 26, 2019

Abstract

This document provides a summary of the more detailed cross pricing paper, see https://ssrn.com/abstract=3278907.

We present a PowerPoint overview of cross currency swaps (Xccy Swaps) and the pricing formula as seen from a trading perspective. Firstly we outline swap preliminaries, reviewing interest rate swaps, yield curve construction, rates trading, pricing & risk. Secondly we outline and give a breakdown of the cross currency swap pricing formula and provide Excel pricing examples.

Keywords: Cross Currency Swaps, Xccy Swaps, Trading, Pricing Formula, PowerPoint Overview, Excel Pricing Examples, Rates Trading, Interest Rate Swaps, Yield Curve Construction

JEL Classification: A22, A23, C02, G10, G12, G15, G20, G21, G23, G30, G31

Suggested Citation

Burgess, Nicholas, Cross Currency Swap Trading & Pricing Formulae - A PowerPoint Overview with Excel Pricing Examples (March 26, 2019). Available at SSRN: https://ssrn.com/abstract=3367497 or http://dx.doi.org/10.2139/ssrn.3367497

Nicholas Burgess (Contact Author)

University of Oxford, Said Business School ( email )

Oxford, OX1 5NY
United Kingdom

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